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YouTube T4-02: Historical simulation (HS VaR): Basic and age-weighted

Nicole Seaman

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Basic historical simulation value at risk (HS VaR) sorts the returns in the window and locates the return ranked (1-confidence)%*K+1. Age-weighted HS assigns greater weight to more recent returns.

David's XLS is here: https://trtl.bz/2BmVoxW


YT sub small.png
 
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